Correlation Between IShares Core and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both IShares Core and IShares MSCI at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining IShares Core and IShares MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core MSCI and iShares MSCI EAFE, you can compare the effects of market volatilities on IShares Core and IShares MSCI and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in IShares Core with a short position of IShares MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and IShares MSCI.
Diversification Opportunities for IShares Core and IShares MSCI
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and IShares is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI and iShares MSCI EAFE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI EAFE and IShares Core is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on iShares Core MSCI are associated (or correlated) with IShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI EAFE has no effect on the direction of IShares Core i.e., IShares Core and IShares MSCI go up and down completely randomly.
Pair Corralation between IShares Core and IShares MSCI
Assuming the 90 days trading horizon iShares Core MSCI is expected to under-perform the IShares MSCI. But the etf apears to be less risky and, when comparing its historical volatility, iShares Core MSCI is 1.01 times less risky than IShares MSCI. The etf trades about -0.19 of its potential returns per unit of risk. The iShares MSCI EAFE is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 3,673 in iShares MSCI EAFE on August 28, 2024 and sell it today you would lose (37.00) from holding iShares MSCI EAFE or give up 1.01% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core MSCI vs. iShares MSCI EAFE
Performance |
| Timeline |
| iShares Core MSCI |
| iShares MSCI EAFE |
IShares Core and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and IShares MSCI
The main advantage of trading using opposite IShares Core and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, IShares MSCI can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in IShares MSCI will offset losses from the drop in IShares MSCI's long position.| IShares Core vs. Vanguard FTSE Developed | IShares Core vs. iShares MSCI EAFE | IShares Core vs. BMO MSCI EAFE | IShares Core vs. BMO Low Volatility |
| IShares MSCI vs. iShares SPTSX Completion | IShares MSCI vs. iShares Canadian Universe | IShares MSCI vs. iShares Core SP | IShares MSCI vs. iShares SPTSX Capped |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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